4. Shaping the tail

Now let's select the triangle with the help of the Direct Selection Tool - it looks like a normal white arrow cursor.
Press A key to select it or SHIFT+A if you get the awkwardly named Path Component Selection Tool (the black arrow cursor which is used to select whole shapes.)

Clicking on the triangle with the Direct Selection Tool should make the three anchorpoints (small boxes) visible. Now click and hold the mousebutton inside one of the small boxes to move it.  Move all of them in place, one after another. Two should be placed inside the bubble from where you want the tail to merge with the bubble, and the third point should be placed near the face of the person speaking, i.e. where you want the tail to start from.

Now it's beginning to look useable. But we'll refine the tail a little by making it curved.

First we'll convert the top anchorpoint (the filled box in the image above) from a corner point to a smooth point.

Place the cursor over the anchorpoint and hold down CTRL+ALT. The cursor should change shape from a arrow to a angle. Click and hold while dragging sideways so the path looks like this:

If the lines between the anchorpoints crosses, then you pulled in the wrong direction - try the other one.

Notice the diamond shapes at the ends of the lines you just dragged out from the anchorpoint. These diamonds affect the curving of the lines and are called direction points.

Using the Direct Selection Tool, grab hold of one of the direction points and drag it around to see how it affects the curve. See how the other direction point follows the angle as you drag "your" point around? It makes it hard to make a sharp tail, so we'll detach this angular connection between the two points. Just hold down the ALT key (a small plus sign should appear in the cursor) and then drag the direction point. The angles of the two direction points should now be independent of each other.